Frontiers of Mathematics in China >
Deviation inequalities and moderate deviations for estimators of parameters in TAR models
Received date: 31 Jul 2010
Accepted date: 03 Mar 2011
Published date: 01 Dec 2011
Copyright
In this paper, we establish some deviation inequalities and the moderate deviation principles for the least squares estimators of the parameters in the threshold autoregressive model under the assumption that the noise random variable satisfies a logarithmic Sobolev inequality.
Jun FAN , Fuqing GAO . Deviation inequalities and moderate deviations for estimators of parameters in TAR models[J]. Frontiers of Mathematics in China, 2011 , 6(6) : 1067 -1083 . DOI: 10.1007/s11464-011-0118-9
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